Guo, Min. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 66-69). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Notation and Model --- p.8 / Chapter 2.1 --- Notation --- p.9 / Chapter 2.2 --- Classical News vendor Model --- p.11 / Chapter 2.3 --- The Price of the Put Option --- p.12 / Chapter 2.4 --- Extended Models with the Option --- p.13 / Chapter 3 --- Literature Review --- p.16 / Chapter 4 --- Objective I ´ؤ Maximizing Expected Profit --- p.24 / Chapter 4.1 --- Single Decision Variable Case: K = Q --- p.24 / Chapter 4.2 --- Two Decision Variable Case: K ≤Q --- p.25 / Chapter 4.3 --- Summary of the Chapter --- p.28 / Chapter 5 --- Objective II ´ؤ Maximizing the Probability of Achieving A Target Profit --- p.30 / Chapter 5.1 --- Single Decision Variable Case: K = Q --- p.30 / Chapter 5.2 --- Two Decision Variable Case: K ≤ Q --- p.37 / Chapter 5.3 --- Numerical Examples --- p.38 / Chapter 5.4 --- Summary of the Chapter --- p.41 / Chapter 6 --- Objective III ´ؤ Minimizing Profit Variance --- p.43 / Chapter 6.1 --- Minimizing Profit Variance through R --- p.44 / Chapter 6.2 --- Minimizing Profit Variance through K --- p.51 / Chapter 6.2.1 --- Special Case R = s --- p.54 / Chapter 6.3 --- Summary of the Chapter --- p.60 / Chapter 7 --- Conclusion --- p.63 / Bibliography --- p.69

Bao, Zhenhua. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Review of the Models --- p.6 / Chapter 2.1.1 --- Black-Scholes-Merton Model --- p.6 / Chapter 2.1.2 --- Merton's Jump Diffusion Model --- p.8 / Chapter 2.1.3 --- Stochastic Volatility Jump Diffusion Model --- p.10 / Chapter 2.1.4 --- Constant Elasticity of Variance (CEV) Model --- p.13 / Chapter 2.2 --- Kou´ةs Double Exponential Jump Diffusion Model --- p.16 / Chapter 2.2.1 --- The Model Formulation --- p.16 / Chapter 2.2.2 --- The Merits of the Model --- p.17 / Chapter 2.2.3 --- Preliminary Results --- p.20 / Chapter 2.2.4 --- Extant Results on Option Pricing under the Model --- p.21 / Chapter 2.3 --- The Laplace Transform and Its Inversion --- p.24 / Chapter 2.3.1 --- The Laplace Transform --- p.24 / Chapter 2.3.2 --- One-dimensional Euler Laplace Transform Inversion Algorithm --- p.25 / Chapter 2.3.3 --- Two-dimensional Euler Laplace Transform Inversion Algorithm --- p.28 / Chapter 2.4 --- Monte Carlo Simulation for Double Exponential Jump Diffusion --- p.32 / Chapter 3 --- Pricing Double Barrier Option via Laplace Transform --- p.34 / Chapter 3.1 --- Double Barrier Option and the First Passage Time --- p.35 / Chapter 3.2 --- Preliminary Results --- p.35 / Chapter 3.3 --- Laplace Transform of the First Passage Time --- p.38 / Chapter 3.4 --- Pricing Double Barrier Option via Laplace Transform --- p.50 / Chapter 4 --- Numerical Results --- p.54 / Chapter 5 --- Conclusion --- p.57

Zheng, Fangbing. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 32-33). / Abstracts in English and Chinese.

Lo, Yu Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 66-70). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.8 / Chapter 2.1 --- Mean-reverting Model --- p.8 / Chapter 2.2 --- Volatility Smile --- p.11 / Chapter 2.3 --- Stochastic Volatility Model --- p.13 / Chapter 2.4 --- Multiscale Stochastic Volatility Model --- p.15 / Chapter 3 --- The Heston Stochastic Volatility --- p.17 / Chapter 3.1 --- The Model --- p.17 / Chapter 3.1.1 --- The Characteristic Function --- p.18 / Chapter 3.2 --- European Option Pricing --- p.24 / Chapter 3.2.1 --- Plain Vanilla Options --- p.25 / Chapter 3.2.2 --- Implied Volatility --- p.28 / Chapter 3.2.3 --- Other Payoff Functions --- p.30 / Chapter 3.3 --- Trinomial Tree: Exotic Option Pricing --- p.31 / Chapter 3.3.1 --- Sub-tree for the volatility --- p.33 / Chapter 3.3.2 --- Sub-tree for the asset --- p.34 / Chapter 3.3.3 --- Non-zero Correlation --- p.37 / Chapter 3.3.4 --- Calibration to Future prices --- p.38 / Chapter 3.3.5 --- Numerical Examples --- p.39 / Chapter 4 --- Multiscale Stochastic Volatility --- p.42 / Chapter 4.1 --- Model Settings --- p.42 / Chapter 4.2 --- Pricing --- p.44 / Chapter 4.3 --- Simulation studies --- p.54 / Chapter 5 --- Conclusion --- p.59 / Appendix --- p.61 / Chapter A --- Verifications --- p.61 / Chapter A.l --- Proof of Lemma 3.1.1 --- p.61 / Chapter B --- Black-Scholes Greeks --- p.64 / Bibliography --- p.66

University of Macau / Faculty of Science and Technology / Department of Mathematics

by Wong Chi Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Monte Carlo Method --- p.2 / Chapter 1.3 --- Outline of Thesis --- p.5 / Chapter 2 --- The Random Number Generators --- p.7 / Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7 / Chapter 2.2 --- Linear Congruential Generators --- p.8 / Chapter 3 --- Memory Reduction Methods --- p.10 / Chapter 3.1 --- The Full-Storage Method --- p.10 / Chapter 3.2 --- The Forward-Path Method --- p.12 / Chapter 3.3 --- The Backward-Path Method --- p.14 / Chapter 4 --- The Least-Squares Method --- p.17 / Chapter 5 --- Numerical Examples --- p.28 / Chapter 6 --- Concluding Remarks --- p.34 / Appendix --- p.36 / Bibliography --- p.38

Zhao Jing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Constant Elasticity of Variance Model --- p.6 / Chapter 2.1 --- The CEV Assumption --- p.7 / Chapter 2.2 --- Properties of the CEV Model --- p.9 / Chapter 2.3 --- Empirical Evidence and Theoretical Support --- p.11 / Chapter 3 --- Option Pricing under CEV --- p.14 / Chapter 3.1 --- The Valuation of European Options --- p.14 / Chapter 3.2 --- The Valuation of American Options --- p.17 / Chapter 3.3 --- "How ""far"" is Enough?" --- p.19 / Chapter 4 --- The Proposed Artificial Boundary Approach --- p.21 / Chapter 4.1 --- Standardized Form of the CEV Model --- p.21 / Chapter 4.2 --- Exact Artificial Boundary Conditions --- p.23 / Chapter 4.3 --- The Integral Kernels and Numerical Laplace Inversion --- p.31 / Chapter 5 --- Numerical Examples --- p.35 / Chapter 5.1 --- General Numerical Scheme --- p.35 / Chapter 6 --- Homotopy Analysis Method --- p.47 / Chapter 6.1 --- The Front-Fixing Transformation --- p.47 / Chapter 6.2 --- Homotopy Analysis Method --- p.49 / Chapter 6.2.1 --- Zero-order Deformation Equation --- p.50 / Chapter 6.2.2 --- High-order Deformation Equation --- p.54 / Chapter 6.2.3 --- Pade Technique --- p.57 / Chapter 6.3 --- Numerical Comparison --- p.58 / Chapter 7 --- Conclusion --- p.63 / Appendix --- p.65 / Chapter A --- The Valuation of Perpetual American Options --- p.65 / Chapter B --- "Derivation of G(Y,r) = Ls-1 ((Y/a)vKv(Y)/sKv(sa)" --- p.66 / Chapter C --- Numerical Laplace Inversion --- p.68 / Bibliography --- p.72

by Lam Wing Shan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaf 41). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background on Option Pricing --- p.3 / Chapter 2.1 --- Financial options --- p.3 / Chapter 2.1.1 --- Basic terms of options --- p.3 / Chapter 2.1.2 --- Trading strategies --- p.4 / Chapter 2.1.3 --- The Principle of no Arbitrage --- p.5 / Chapter 2.1.4 --- Rational boundaries on Option Prices --- p.5 / Chapter 2.1.5 --- American Options --- p.6 / Chapter 2.1.6 --- Put-Call Parity --- p.7 / Chapter 2.2 --- Black-Scholes equation --- p.8 / Chapter 2.2.1 --- Derivation of Black-Scholes equation --- p.8 / Chapter 2.2.2 --- Solution to the Black-Scholes equation --- p.10 / Chapter 3 --- Review on Monte Carlo Method --- p.15 / Chapter 3.1 --- Monte Carlo Simulation --- p.15 / Chapter 3.2 --- Pricing an option using Monte Carlo Method --- p.18 / Chapter 3.3 --- Antithetic Variates Method --- p.21 / Chapter 4 --- Cell Partition Method --- p.23 / Chapter 4.1 --- An Advantage of the Cell Partition Method --- p.23 / Chapter 4.2 --- The Algorithm --- p.24 / Chapter 5 --- Numerical Results --- p.35 / Chapter 6 --- Conclusion --- p.39 / Bibliography --- p.41

Ren, You. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 48-51). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background of Option Pricing Theory --- p.1 / Chapter 1.2 --- American Option Pricing --- p.3 / Chapter 1.3 --- Numerical Approximation of American Option Price --- p.8 / Chapter 1.4 --- Statistical Issues --- p.12 / Chapter 1.4.1 --- Empirical Calibration --- p.13 / Chapter 2 --- Mixed Effects Model for American Option Prices --- p.16 / Chapter 2.1 --- Model --- p.16 / Chapter 2.2 --- Model Selection --- p.19 / Chapter 2.3 --- Empirical Bayes Prediction --- p.21 / Chapter 3 --- Simulation and Empirical Data --- p.22 / Chapter 3.1 --- Simulation --- p.22 / Chapter 3.1.1 --- Simulation of Stock Price Path and a Set of Options --- p.22 / Chapter 3.1.2 --- Training Mixed Effects Model --- p.27 / Chapter 3.1.3 --- Performance Measure and Prediction Result --- p.30 / Chapter 3.2 --- An Application to P&G American Options --- p.36 / Chapter 3.2.1 --- The Empirical Data and Setup --- p.36 / Chapter 3.2.2 --- Training Mixed Effects Option Pricing Model --- p.37 / Chapter 3.2.3 --- Performance Analysis --- p.41 / Chapter 4 --- Conclusion and Discussion --- p.46 / Bibliography --- p.48

Heung Ling-lung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 81-82). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgements --- p.iv / Chapter Chapter1: --- Introduction --- p.1 / Chapter Chapter2: --- Review of binomial schemes and trinomial schemes --- p.4 / Chapter Chapter3: --- Binomial/trinomial scheme from the viewpoint of quadrature --- p.12 / Chapter Chapter4: --- Binomial/trinomial schemes from Gaussian quadrature formula --- p.16 / Chapter Chapter5: --- New Schemes from other quadrature formula --- p.27 / Chapter Chapter6: --- Multinomial scheme --- p.35 / Chapter Chapter7: --- Numerical results --- p.41 / Chapter Chapter8: --- Conclusion --- p.47 / Appendix --- p.49 / Bibliography --- p.81